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Valeri Voev

Personal Details

First Name:Valeri
Middle Name:
Last Name:Voev
Suffix:
RePEc Short-ID:pvo59
http://www.econ.au.dk/research/research-centres/creates/people/research-fellows/valeri-voev/
Terminal Degree:2008 Fachbereich Wirtschaftswissenschaften; Universität Konstanz (from RePEc Genealogy)

Affiliation

(in no particular order)

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)

Aarhus, Denmark
http://econ.au.dk/
RePEc:edi:ifoaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University.
  2. Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers 2010-45, Department of Economics and Business Economics, Aarhus University.
  3. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  4. Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
  5. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
  6. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, Department of Economics and Business Economics, Aarhus University.
  7. Ingmar Nolte & Valeri Voev, 2008. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers 2008-31, Department of Economics and Business Economics, Aarhus University.
  8. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, Department of Economics and Business Economics, Aarhus University.
  9. Nolte, Ingmar & Voev, Valeri, 2007. "Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market," CoFE Discussion Papers 07/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
  10. Voev, Valeri, 2007. "Dynamic modeling of large dimensional covariance matrices," CoFE Discussion Papers 07/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
  11. Voev, Valeri, 2006. "A trade-by-trade surprise measure and its relation to observed spreads on the NYSE," CoFE Discussion Papers 06/03, University of Konstanz, Center of Finance and Econometrics (CoFE).

Articles

  1. Roxana Halbleib & Valeri Voev, 2016. "Forecasting Covariance Matrices: A Mixed Approach," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 383-417.
  2. Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2014. "Realized Beta Garch: A Multivariate Garch Model With Realized Measures Of Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 774-799, August.
  3. Varneskov, Rasmus & Voev, Valeri, 2013. "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 83-95.
  4. Halbleib Roxana & Voev Valeri, 2011. "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 134-152, February.
  5. Valeri Voev, 2011. "Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach," Journal of Financial Econometrics, Oxford University Press, vol. 9(4), pages 685-716.
  6. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, September.
  7. Ingmar Nolte & Valeri Voev, 2011. "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 94-108, April.
  8. Valeri Voev & Asger Lunde, 2007. "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 68-104.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (7) 2008-06-27 2008-09-05 2009-05-02 2009-12-05 2010-09-03 2011-01-30 2011-01-30. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2008-06-27 2008-09-05 2010-09-03 2010-12-11 2011-01-30 2011-01-30 2012-12-10. Author is listed
  3. NEP-FOR: Forecasting (6) 2008-09-05 2009-12-05 2010-09-03 2011-01-30 2011-01-30 2012-12-10. Author is listed
  4. NEP-MST: Market Microstructure (6) 2008-06-27 2009-05-02 2010-09-03 2011-01-30 2011-01-30 2012-12-10. Author is listed
  5. NEP-FMK: Financial Markets (3) 2008-09-05 2009-05-02 2010-12-11
  6. NEP-ORE: Operations Research (3) 2008-09-05 2009-12-05 2011-01-30
  7. NEP-RMG: Risk Management (2) 2011-01-30 2012-12-10
  8. NEP-CFN: Corporate Finance (1) 2008-06-27
  9. NEP-UPT: Utility Models and Prospect Theory (1) 2008-09-05

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